Journal of Finance 1997

Good News for Value Stocks: Further Evidence on Market Efficiency

Rafael La Porta^1,2; Josef Lakonishok^2,3; Andrei Shleifer^2,4; Robert W. Vishny^2,5

¹ Dartmouth College · ² National Bureau of Economic Research · ³ University of Illinois Urbana-Champaign · ⁴ Harvard University · ⁵ University of Chicago

Abstract

This article examines the hypothesis that the superior return to so-called value stocks is the result of expectational errors made by investors. The authors study stock price reactions around earnings announcements for value and glamour stocks over a five-year period after portfolio formation. The announcement returns suggest that a significant portion of the return difference between value and glamour stocks is attributable to earnings surprises that are systematically more positive for value stocks. The evidence is inconsistent with a risk-based explanation for the return differential. Coauthors are Josef Lakonishok, Andrei Shleifer, and Robert Vishny.

DOI

10.2307/2329502

Sources

openalex

Cite

APA 7 MLA 9 Chicago (author–date) Harvard Elsevier Harvard (JFE, JBF…) The Accounting Review Academy of Management American Marketing Association INFORMS (Management Science) Copy citation Copied ✓